Is it possible to extend the Alphalens tool to add multi-factor panel regression using equal weights or market capitalization weights (or other weighting schemes)?
This will help a researcher in finding appropriate alpha factor combination. Currently, I am just adding alpha factors but I don't think it's the right approach. There are other posts where people have discussed combining factors in proportion of "Risk-adjusted IC" which is a good first step but not ideal ( It is slow and it doesn't help is finding co-linearity).
Do you agree?